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Credit Risk Modeller – Rating Model - Global Bank, London
My client is looking for a highly motivated and dedicated junior quant for its Model Validation team in London. We are looking for individuals with a strong quantitative aptitude and wholesale credit risk modelling skill set. It is essential to have an eye for detail and ability to quickly learn as needed.
Provide initial and periodic validation, review and challenge of Credit Risk models across both trading and banking books
Quantitative analysis and review of the model frameworks, assumptions, data, and results
Designing, modelling and prototyping challenger models where required
Testing models numerical implementations and reviewing documentations
Documentation of analysis with in validation reports, including recommendations for model improvements
Understand and improve the existing processes to gain efficiency
Use tools such as SAS, R, SQL, Python and Matlab to develop and validate quantitative models using large or small data sources
Deliver end solution maintaining high quality standards and quick turnaround times
Minimum of 18 months experience in implementing or validation credit risk model models including but not limited to IRB, AIRB, PD/LGD/EAD